For each component, one could, in principle, consider any of a wide array of well-known penalties, such as the Lasso \(\ell _1\)  penalty [1]} or non-convex penalties like smoothly-clipped absolute deviation (SCAD) [2]}:
\( p_{\lambda }(|\beta |) = {\left\lbrace \begin{array}{ll} \lambda |\beta |, & |\beta |\le {} \lambda , \\ -\left( \beta ^2 - 2a\lambda |\beta | + \lambda ^2 \right)/(2(a-1)), & \lambda < |\beta | \le {} a\lambda , \\ (a+1)\lambda ^2/2, & |\beta | > a\lambda , \end{array}\right.}\) 
